public double impliedVolatility(double targetValue, GeneralizedBlackScholesProcess process, double accuracy) {
double ret = NQuantLibcPINVOKE.BarrierOption_impliedVolatility__SWIG_3(swigCPtr, targetValue, GeneralizedBlackScholesProcess.getCPtr(process), accuracy);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
public FDEuropeanEngine(GeneralizedBlackScholesProcess process) : this(NQuantLibcPINVOKE.new_FDEuropeanEngine__SWIG_3(GeneralizedBlackScholesProcess.getCPtr(process)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(GeneralizedBlackScholesProcess obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
public MCDiscreteArithmeticASEngine(GeneralizedBlackScholesProcess process, string traits, bool brownianBridge, bool antitheticVariate) : this(NQuantLibcPINVOKE.new_MCDiscreteArithmeticASEngine__SWIG_4(GeneralizedBlackScholesProcess.getCPtr(process), traits, brownianBridge, antitheticVariate), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public AnalyticDigitalAmericanEngine(GeneralizedBlackScholesProcess process) : this(NQuantLibcPINVOKE.new_AnalyticDigitalAmericanEngine(GeneralizedBlackScholesProcess.getCPtr(process)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public double impliedVolatility(double targetValue, GeneralizedBlackScholesProcess process, double accuracy, uint maxEvaluations, double minVol) {
double ret = NQuantLibcPINVOKE.DividendVanillaOption_impliedVolatility__SWIG_1(swigCPtr, targetValue, GeneralizedBlackScholesProcess.getCPtr(process), accuracy, maxEvaluations, minVol);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
public BaroneAdesiWhaleyEngine(GeneralizedBlackScholesProcess process) : this(NQuantLibcPINVOKE.new_BaroneAdesiWhaleyEngine(GeneralizedBlackScholesProcess.getCPtr(process)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public MCLDDiscreteGeometricAPEngine(GeneralizedBlackScholesProcess process, bool brownianBridge, bool antitheticVariate, int requiredSamples, double requiredTolerance, int maxSamples) : this(NQuantLibcPINVOKE.new_MCLDDiscreteGeometricAPEngine__SWIG_1(GeneralizedBlackScholesProcess.getCPtr(process), brownianBridge, antitheticVariate, requiredSamples, requiredTolerance, maxSamples), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public MCLDDiscreteGeometricAPEngine(GeneralizedBlackScholesProcess process, bool brownianBridge, bool antitheticVariate) : this(NQuantLibcPINVOKE.new_MCLDDiscreteGeometricAPEngine__SWIG_4(GeneralizedBlackScholesProcess.getCPtr(process), brownianBridge, antitheticVariate), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public QuantoEuropeanEngine(GeneralizedBlackScholesProcess process, YieldTermStructureHandle foreignRiskFreeRate, BlackVolTermStructureHandle exchangeRateVolatility, QuoteHandle correlation) : this(NQuantLibcPINVOKE.new_QuantoEuropeanEngine(GeneralizedBlackScholesProcess.getCPtr(process), YieldTermStructureHandle.getCPtr(foreignRiskFreeRate), BlackVolTermStructureHandle.getCPtr(exchangeRateVolatility), QuoteHandle.getCPtr(correlation)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public StulzEngine(GeneralizedBlackScholesProcess process1, GeneralizedBlackScholesProcess process2, double correlation) : this(NQuantLibcPINVOKE.new_StulzEngine(GeneralizedBlackScholesProcess.getCPtr(process1), GeneralizedBlackScholesProcess.getCPtr(process2), correlation), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public double impliedVolatility(double targetValue, GeneralizedBlackScholesProcess process) {
double ret = NQuantLibcPINVOKE.DividendVanillaOption_impliedVolatility__SWIG_4(swigCPtr, targetValue, GeneralizedBlackScholesProcess.getCPtr(process));
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
public double impliedVolatility(double targetValue, GeneralizedBlackScholesProcess process, double accuracy, uint maxEvaluations, double minVol) {
double ret = NQuantLibcPINVOKE.DividendVanillaOption_impliedVolatility__SWIG_1(swigCPtr, targetValue, GeneralizedBlackScholesProcess.getCPtr(process), accuracy, maxEvaluations, minVol);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
public WulinYongDoubleBarrierEngine(GeneralizedBlackScholesProcess process) : this(NQuantLibcPINVOKE.new_WulinYongDoubleBarrierEngine__SWIG_1(GeneralizedBlackScholesProcess.getCPtr(process)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public AnalyticContinuousGeometricAveragePriceAsianEngine(GeneralizedBlackScholesProcess process) : this(NQuantLibcPINVOKE.new_AnalyticContinuousGeometricAveragePriceAsianEngine(GeneralizedBlackScholesProcess.getCPtr(process)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public MCLDDiscreteGeometricAPEngine(GeneralizedBlackScholesProcess process) : this(NQuantLibcPINVOKE.new_MCLDDiscreteGeometricAPEngine__SWIG_6(GeneralizedBlackScholesProcess.getCPtr(process)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public MCBarrierEngine(GeneralizedBlackScholesProcess process, string traits, uint timeSteps, uint timeStepsPerYear, bool brownianBridge, bool antitheticVariate) : this(NQuantLibcPINVOKE.new_MCBarrierEngine__SWIG_5(GeneralizedBlackScholesProcess.getCPtr(process), traits, timeSteps, timeStepsPerYear, brownianBridge, antitheticVariate), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public BinomialBarrierEngine(GeneralizedBlackScholesProcess process, string type, uint steps) : this(NQuantLibcPINVOKE.new_BinomialBarrierEngine__SWIG_1(GeneralizedBlackScholesProcess.getCPtr(process), type, steps), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public FdBlackScholesAsianEngine(GeneralizedBlackScholesProcess process, uint tGrid, uint xGrid, uint aGrid) : this(NQuantLibcPINVOKE.new_FdBlackScholesAsianEngine(GeneralizedBlackScholesProcess.getCPtr(process), tGrid, xGrid, aGrid), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public TestBinomialEngine(GeneralizedBlackScholesProcess process) :
base(process, 300) // fixed steps
{
}
public BinomialConvertibleEngine(GeneralizedBlackScholesProcess process, string type, uint steps) : this(NQuantLibcPINVOKE.new_BinomialConvertibleEngine(GeneralizedBlackScholesProcess.getCPtr(process), type, steps), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public FDEuropeanEngine(GeneralizedBlackScholesProcess process, int timeSteps, int gridPoints)
: this(process, timeSteps, gridPoints, false)
{
}
public FDDividendEuropeanEngine(GeneralizedBlackScholesProcess process, uint timeSteps, uint gridPoints, bool timeDependent) : this(NQuantLibcPINVOKE.new_FDDividendEuropeanEngine__SWIG_0(GeneralizedBlackScholesProcess.getCPtr(process), timeSteps, gridPoints, timeDependent), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public AnalyticBinaryBarrierEngine(GeneralizedBlackScholesProcess process) : this(NQuantLibcPINVOKE.new_AnalyticBinaryBarrierEngine(GeneralizedBlackScholesProcess.getCPtr(process)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public MakeMCEuropeanAutocallEngine(GeneralizedBlackScholesProcess process) : base(process)
{
}
public AnalyticDiscreteGeometricAverageStrikeAsianEngine(GeneralizedBlackScholesProcess process) : this(NQuantLibcPINVOKE.new_AnalyticDiscreteGeometricAverageStrikeAsianEngine(GeneralizedBlackScholesProcess.getCPtr(process)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, uint tGrid, uint xGrid, uint dampingSteps) : this(NQuantLibcPINVOKE.new_FdBlackScholesVanillaEngine__SWIG_0(GeneralizedBlackScholesProcess.getCPtr(process), tGrid, xGrid, dampingSteps), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public BinomialCRRConvertibleEngine(GeneralizedBlackScholesProcess arg0, uint steps) : this(NQuantLibcPINVOKE.new_BinomialCRRConvertibleEngine(GeneralizedBlackScholesProcess.getCPtr(arg0), steps), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public QuantoForwardEuropeanEngine(GeneralizedBlackScholesProcess process, YieldTermStructureHandle foreignRiskFreeRate, BlackVolTermStructureHandle exchangeRateVolatility, QuoteHandle correlation) : this(NQuantLibcPINVOKE.new_QuantoForwardEuropeanEngine(GeneralizedBlackScholesProcess.getCPtr(process), YieldTermStructureHandle.getCPtr(foreignRiskFreeRate), BlackVolTermStructureHandle.getCPtr(exchangeRateVolatility), QuoteHandle.getCPtr(correlation)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
VanillaOption makeOption(StrikedTypePayoff payoff, Exercise exercise, Quote u, YieldTermStructure q,
YieldTermStructure r, BlackVolTermStructure vol, EngineType engineType, int binomialSteps, int samples)
{
GeneralizedBlackScholesProcess stochProcess = makeProcess(u, q, r, vol);
IPricingEngine engine;
switch (engineType)
{
case EngineType.Analytic:
engine = new AnalyticEuropeanEngine(stochProcess);
break;
case EngineType.JR:
engine = new BinomialVanillaEngine <JarrowRudd>(stochProcess, binomialSteps);
break;
case EngineType.CRR:
engine = new BinomialVanillaEngine <CoxRossRubinstein>(stochProcess, binomialSteps);
break;
case EngineType.EQP:
engine = new BinomialVanillaEngine <AdditiveEQPBinomialTree>(stochProcess, binomialSteps);
break;
case EngineType.TGEO:
engine = new BinomialVanillaEngine <Trigeorgis>(stochProcess, binomialSteps);
break;
case EngineType.TIAN:
engine = new BinomialVanillaEngine <Tian>(stochProcess, binomialSteps);
break;
case EngineType.LR:
engine = new BinomialVanillaEngine <LeisenReimer>(stochProcess, binomialSteps);
break;
case EngineType.JOSHI:
engine = new BinomialVanillaEngine <Joshi4>(stochProcess, binomialSteps);
break;
case EngineType.FiniteDifferences:
engine = new FDEuropeanEngine(stochProcess, binomialSteps, samples);
break;
case EngineType.Integral:
engine = new IntegralEngine(stochProcess);
break;
//case EngineType.PseudoMonteCarlo:
// engine = MakeMCEuropeanEngine<PseudoRandom>(stochProcess)
// .withSteps(1)
// .withSamples(samples)
// .withSeed(42);
// break;
//case EngineType.QuasiMonteCarlo:
// engine = MakeMCEuropeanEngine<LowDiscrepancy>(stochProcess)
// .withSteps(1)
// .withSamples(samples);
// break;
default:
throw new ArgumentException("unknown engine type");
}
VanillaOption option = new EuropeanOption(payoff, exercise);
option.setPricingEngine(engine);
return(option);
}
public FDShoutEngine(GeneralizedBlackScholesProcess process, uint timeSteps) : this(NQuantLibcPINVOKE.new_FDShoutEngine__SWIG_2(GeneralizedBlackScholesProcess.getCPtr(process), timeSteps), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public FDShoutEngine(GeneralizedBlackScholesProcess process, int timeSteps, int gridPoints,
bool timeDependent = false)
: base(process, timeSteps, gridPoints, timeDependent)
{
}
public MCBarrierEngine(GeneralizedBlackScholesProcess process, string traits, uint timeSteps, uint timeStepsPerYear, bool brownianBridge, bool antitheticVariate, int requiredSamples, double requiredTolerance, int maxSamples, bool isBiased) : this(NQuantLibcPINVOKE.new_MCBarrierEngine__SWIG_1(GeneralizedBlackScholesProcess.getCPtr(process), traits, timeSteps, timeStepsPerYear, brownianBridge, antitheticVariate, requiredSamples, requiredTolerance, maxSamples, isBiased), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public IFDEngine factory(GeneralizedBlackScholesProcess process, int timeSteps = 100, int gridPoints = 100)
{
return(new FDShoutEngine(process, timeSteps, gridPoints));
}
public MCBarrierEngine(GeneralizedBlackScholesProcess process, string traits, uint timeSteps) : this(NQuantLibcPINVOKE.new_MCBarrierEngine__SWIG_8(GeneralizedBlackScholesProcess.getCPtr(process), traits, timeSteps), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public MCAmericanEngine(GeneralizedBlackScholesProcess process, string traits, int timeSteps, int timeStepsPerYear, bool antitheticVariate) : this(NQuantLibcPINVOKE.new_MCAmericanEngine__SWIG_10(GeneralizedBlackScholesProcess.getCPtr(process), traits, timeSteps, timeStepsPerYear, antitheticVariate), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public double impliedVolatility(double targetValue, GeneralizedBlackScholesProcess process) {
double ret = NQuantLibcPINVOKE.DividendVanillaOption_impliedVolatility__SWIG_4(swigCPtr, targetValue, GeneralizedBlackScholesProcess.getCPtr(process));
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
public MCAmericanEngine(GeneralizedBlackScholesProcess process, string traits) : this(NQuantLibcPINVOKE.new_MCAmericanEngine__SWIG_13(GeneralizedBlackScholesProcess.getCPtr(process), traits), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public StulzEngine(GeneralizedBlackScholesProcess process1, GeneralizedBlackScholesProcess process2, double correlation) : this(NQuantLibcPINVOKE.new_StulzEngine(GeneralizedBlackScholesProcess.getCPtr(process1), GeneralizedBlackScholesProcess.getCPtr(process2), correlation), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public MCAmericanEngine(GeneralizedBlackScholesProcess process, string traits, int timeSteps, int timeStepsPerYear, bool antitheticVariate, bool controlVariate, int requiredSamples, double requiredTolerance, int maxSamples, int seed, int polynomOrder, LsmBasisSystem.PolynomType polynomType, int nCalibrationSamples) : this(NQuantLibcPINVOKE.new_MCAmericanEngine__SWIG_2(GeneralizedBlackScholesProcess.getCPtr(process), traits, timeSteps, timeStepsPerYear, antitheticVariate, controlVariate, requiredSamples, requiredTolerance, maxSamples, seed, polynomOrder, (int)polynomType, nCalibrationSamples), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public ContinuousArithmeticAsianLevyEngine(GeneralizedBlackScholesProcess process, QuoteHandle runningAverage, Date startDate) : this(NQuantLibcPINVOKE.new_ContinuousArithmeticAsianLevyEngine(GeneralizedBlackScholesProcess.getCPtr(process), QuoteHandle.getCPtr(runningAverage), Date.getCPtr(startDate)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public MCAmericanEngine(GeneralizedBlackScholesProcess process, string traits, int timeSteps, int timeStepsPerYear, bool antitheticVariate, bool controlVariate, int requiredSamples, double requiredTolerance, int maxSamples) : this(NQuantLibcPINVOKE.new_MCAmericanEngine__SWIG_6(GeneralizedBlackScholesProcess.getCPtr(process), traits, timeSteps, timeStepsPerYear, antitheticVariate, controlVariate, requiredSamples, requiredTolerance, maxSamples), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public MCDiscreteArithmeticASEngine(GeneralizedBlackScholesProcess process, string traits, bool brownianBridge, bool antitheticVariate, int requiredSamples, double requiredTolerance, int maxSamples) : this(NQuantLibcPINVOKE.new_MCDiscreteArithmeticASEngine__SWIG_1(GeneralizedBlackScholesProcess.getCPtr(process), traits, brownianBridge, antitheticVariate, requiredSamples, requiredTolerance, maxSamples), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public IntegralEngine(GeneralizedBlackScholesProcess arg0) : this(NQuantLibcPINVOKE.new_IntegralEngine(GeneralizedBlackScholesProcess.getCPtr(arg0)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public MCDiscreteArithmeticASEngine(GeneralizedBlackScholesProcess process, string traits) : this(NQuantLibcPINVOKE.new_MCDiscreteArithmeticASEngine__SWIG_6(GeneralizedBlackScholesProcess.getCPtr(process), traits), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public FDAmericanEngine(GeneralizedBlackScholesProcess process, uint timeSteps) : this(NQuantLibcPINVOKE.new_FDAmericanEngine__SWIG_2(GeneralizedBlackScholesProcess.getCPtr(process), timeSteps), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public FDDividendEuropeanEngine(GeneralizedBlackScholesProcess process) : this(NQuantLibcPINVOKE.new_FDDividendEuropeanEngine__SWIG_3(GeneralizedBlackScholesProcess.getCPtr(process)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public FDEuropeanEngine(GeneralizedBlackScholesProcess process, uint timeSteps, uint gridPoints, bool timeDependent) : this(NQuantLibcPINVOKE.new_FDEuropeanEngine__SWIG_0(GeneralizedBlackScholesProcess.getCPtr(process), timeSteps, gridPoints, timeDependent), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public BjerksundStenslandEngine(GeneralizedBlackScholesProcess process) : this(NQuantLibcPINVOKE.new_BjerksundStenslandEngine(GeneralizedBlackScholesProcess.getCPtr(process)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public EuropeanAutocallPathPricer(AutocallPayoff autocallPayoff, AutocallExercise autocallExercise, GeneralizedBlackScholesProcess process)
{
payoff_ = autocallPayoff;
exercise_ = autocallExercise;
//payoff_ = new AutocallPayoff(type, strike);
process_ = process;
//if (!(strike >= 0.0))
// throw new ApplicationException("strike less than zero not allowed");
}
